David Lynch certainly has an eye for female protagonists — especially the tragic heroine — from ‘Mulholland Drive’ to ‘Twin Peaks.’ Here, four of his favorite collaborators past and present, the actresses Laura Dern, Patricia Arquette, Naomi Watts, and Hailey Gates, discuss their relationship with the famed director. In the words of Naomi Watts, “such a freak” — but a beloved one at that.